Efficient frontier of utility and CVaR

Harry Zheng ()

Mathematical Methods of Operations Research, 2009, vol. 70, issue 1, 129-148

Abstract: We study the efficient frontier problem of maximizing the expected utility of terminal wealth and minimizing the conditional VaR of the utility loss. We establish the existence of the optimal solution with the convex duality analysis. We find the optimal value of the constrained problem with the sequential penalty function and the dynamic programming method. Copyright Springer-Verlag 2009

Keywords: Efficient frontier of utility and CVaR; Existence of optimal solutions; State/control constraints; Sequential penalty functions; Dynamic programming; 90C46; 49L20 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00186-008-0234-9

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